Alpha#96
Type:
alpha_96• Category:indicators
Description
Alpha#96 - negative max of ts_rank decays.
Parameters
| Name | Type | Description | Required | Default |
|---|---|---|---|---|
dataExp | string | price data | no | |
vwap | string | select the column with VWAP | no | |
volume | string | select the column with volume | no | |
close | string | select the column with closing prices | no |
Help
Alpha#96
Description
Alpha#96 is an indicator from Alpha 101, a set of formulaic alphas developed by Zura Kakushadze. This indicator calculates the negative maximum of ts_rank decays.
What does this worker do?
This worker calculates the Alpha#96 indicator using the provided price data, volume, and closing prices. It uses the ts_rank decay function to rank the data and then takes the negative maximum of these ranks.
How to interpret the results
The Alpha#96 indicator can be used to identify potential trading opportunities. A higher value indicates a stronger signal. The indicator can be used in conjunction with other indicators and strategies to form a comprehensive investment approach.
Parameters
The following parameters are required to calculate the Alpha#96 indicator:
- dataExp (
pandas.DataFrame): Price data - vwap (
str): Column name with Volume Weighted Average Price (VWAP) - volume (
str): Column name with volume data - close (
str): Column name with closing prices
Usage
To use this worker, simply provide the required parameters and run the calculation. The following GIFs demonstrate how to use the indicator:
Reference
For more information on the Alpha 101 indicators, please refer to the publication:
- Kakushadze, Z. (2016). 101 Formulaic Alphas. arXiv preprint
This publication provides a comprehensive overview of the Alpha 101 indicators, including their development, testing, and application.